In a small bowl stir together preserves and cayenne pepper. Place 4 slices of bread on work surface; spread slices with preserves. Top with apples and bacon. Spread one side of remaining bread slices with peanut butter; place, spread side down, over apples and bacon. Spread sandwich tops with some of the butter.
Preheat griddle or very large skillet over medium heat. Place sandwiches, buttered side down, on griddle. Carefully spread unbuttered bread with butter. Cook 2 to 3 minutes per side or until bread is golden and sandwiches are heated through. Makes 4 servings.